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Rank

Predicted Beta

Idiosyncratic Volatility

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Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 9 6 6
Score -2.21 -3.45 -4.17
Market Cap (Millions USD) NA NA NA
Predicted Beta 0.23 0.23 0.24
Idiosyncratic Volatility 0.81 0.8 1.28

Annualized return and volatility

VTIAX
Annualized Return 0.0487
Annualized Std Dev 0.1498
Annualized Sharpe (Rf=0%) 0.3253

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Daily Return Statistics

VTIAX
Observations 2322.0000
NAs 2792.0000
Minimum -0.0709
Quartile 1 -0.0040
Median 0.0004
Arithmetic Mean 0.0002
Geometric Mean 0.0002
Quartile 3 0.0052
Maximum 0.0493
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0094
Skewness -0.5799
Kurtosis 5.5265

Downside Risk

VTIAX
Semi Deviation 0.0070
Gain Deviation 0.0061
Loss Deviation 0.0075
Downside Deviation (MAR=210%) 0.0120
Downside Deviation (Rf=0%) 0.0069
Downside Deviation (0%) 0.0069
Maximum Drawdown 0.2660
Historical VaR (95%) -0.0157
Historical ES (95%) -0.0233
Modified VaR (95%) -0.0157
Modified ES (95%) -0.0305
From Trough To Depth Length To Trough Recovery
2011-05-02 2011-10-03 2013-05-03 -0.2660 512 109 403
2015-05-18 2016-02-11 2017-05-02 -0.2438 501 190 311
2018-01-29 2018-12-24 NA -0.2278 490 233 NA
2014-07-07 2014-12-15 2015-04-28 -0.1331 210 116 94
2013-05-22 2013-06-24 2013-09-11 -0.1102 80 24 56

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Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec VTIAX
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA NA NA NA NA NA NA
2002 NA NA NA NA NA NA NA NA NA NA NA NA NA
2003 NA NA NA NA NA NA NA NA NA NA NA NA NA
2004 NA NA NA NA NA NA NA NA NA NA NA NA NA
2005 NA NA NA NA NA NA NA NA NA NA NA NA NA
2006 NA NA NA NA NA NA NA NA NA NA NA NA NA
2007 NA NA NA NA NA NA NA NA NA NA NA NA NA
2008 NA NA NA NA NA NA NA NA NA NA NA NA NA
2009 NA NA NA NA NA NA NA NA NA NA NA NA NA
2010 NA NA NA NA NA NA NA NA NA NA 2.9 0 2.9
2011 2.1 -0.8 1.1 0.0 -1.7 1.1 -0.6 -0.4 0.0 -3.1 -0.3 0 -2.7
2012 1.6 0.8 0.0 0.3 -2.2 0.0 -0.1 0.0 0.6 1.0 0.0 0 2.0
2013 0.7 0.0 -0.9 -0.6 0.0 0.9 0.9 0.0 0.6 -0.5 0.0 0 1.2
2014 0.0 0.0 0.6 0.1 0.0 0.7 -0.5 0.0 -1.1 0.0 -0.5 0 -0.6
2015 0.0 0.0 0.6 0.4 -0.2 0.4 0.0 -3.0 0.3 0.0 1.2 0 -0.4
2016 -0.2 2.5 -1.0 0.0 0.0 0.3 -0.4 0.4 0.0 -0.3 -0.2 0 1.1
2017 0.4 0.9 0.0 0.2 0.6 0.0 0.5 0.2 0.0 0.3 -0.4 0 2.7
2018 0.1 -0.9 0.0 -0.3 0.8 0.0 -0.3 0.0 0.1 1.5 0.0 0 1.0
2019 -0.2 0.4 1.2 -0.5 0.0 0.5 -0.4 0.0 -0.8 0.9 0.0 0 1.1

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Rolling Performance Chart

Snail Trail Chart